Research " CORPORATE HEDGING: CURRENCY DERIVATIVES AND INTEREST RATE DERIVATIVES USE BEFORE AND AFTER SFAS 133 " ppt

... commercial and industrial loan portfolios. More specifically, we find that aggregate use of derivative instruments, in particular interest- rate options, interest- rate futures, and interest- rate forwards, ... model, Diamond argues that interest- rate derivatives allow commercial banks to lessen their systematic exposure to changes in interest rates. In addition, int...

Ngày tải lên: 17/02/2014, 03:20

... between a floating interest rate and the cap rate. Interest rate floor OTC option that pays the difference between the floor rate and a floating interest rate. Interest rate collar Combination ... of New York

Ngày tải lên: 06/03/2014, 02:21

... macroeconomic conditions (policy rates, real GDP, inflation, interest rate volatility), are captured by the constant α . Following Albertazzi and Marchetti (2010) and Hale and Santos 4 For a survey ... Japan (Aoki and Patrick, 1994), Germany (Harhoff and Körting, 1998) and Italy (Angelini et al.,1998) and in more market oriented ones such as the U.S. (Petersen and R...

Ngày tải lên: 17/02/2014, 03:20

... between the floating rate coupon and the fixed rate coupon payments is exchanged. Figure 1: Single -Currency Interest Rate Swap Market participants often employ interest rate derivatives for ... single currency interest rate swap, parties agree to exchange payments periodically based on a fixed interest rate agreed upon at the outset of the transaction and...

Ngày tải lên: 06/03/2014, 03:20

... parameters and the φ(·; α) curve to the interest- rate derivatives desk, and then proceed with finding β and ψ(·; β) from CDS data. This ensures also a consistency of the interest rate model that is used ... the separate and semi-automatic calibration of the interest- rate part to interest- rate data and of the intensity part to credit market data. Indeed, in the separ...

Ngày tải lên: 06/03/2014, 04:21

... environment) and macroeconomic variables. Changes in interest rates and GDP growth represent the factors used to examine the development of ex-post margins, spreads and profits over the business and the interest ... in the growth rate of real GDP. Interest margins, spreads and returns on equity and assets contempo- raneoulsy fall after an interest rate impulse. Auxili...

Ngày tải lên: 06/03/2014, 14:20

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Ngày tải lên: 15/03/2014, 01:20

... M^HELYTANULMÁNYOK DISCUSSION PAPERS MT-DP – 2006/15 Central Bank Interventions, Communication and Interest Rate Policy in Emerging European Economies BALÁZS ÉGERT INSTITUTE OF ECONOMICS, ... series may be subject to further publication. Central Bank Interventions, Communication and Interest Rate Policy in Emerging European Economies Balázs Égert, Oester...

Ngày tải lên: 15/03/2014, 14:20

Ngày tải lên: 15/03/2014, 14:20

... principal outstanding, over-the- counter markets for euro and US dollar denominated interest rate derivatives are the largest financial markets in the world. The euro interest rate swap market ... (left hand scale) Forward Rate (ri g th hand scale) Notes: The yield curve is the 10-year German government benchmark yield minus the 3-month Euribor. The forward rate is the one yea...

Ngày tải lên: 22/03/2014, 23:20